Monte Carlo Simulation with Mathematical Convolution of Frequency and Severity Distributions in Operational Risk Capital Model in the Basel Accords
Johnathan Mun · Journal of Advances in Mathematics and Computer Science · 2022
In October 2014, the Basel Committee on Banking Supervision released a Basel Consultative Document entitled, “Operational Risk: Revisions to the Simpler Approaches,” and in it describes operational risk as “the sum product of frequency and severity of risk events within a one-yea...
Open access
Research Article
10.9734/jamcs/2022/v37i130426